Quant Developer

Overview

In this Quant Developer role, you design and build OTC valuation models and integrate analytics into the core valuation infrastructure for a broad set of derivatives. You will contribute to multiple applications by developing proprietary analytics libraries and implementing models from simple to advanced numerical methods. You’ll work across front-office and production environments, validating models with real trades to ensure accurate pricing. London-based opportunity with a renowned buy-side and HFT software context that shapes how derivatives are valued.

Responsibilities

• Design and develop OTC valuation models and analytics libraries
• Integrate analytics into the main valuation infrastructure for derivatives
• Implement financial models ranging from simple to sophisticated
• Participate in all phases of development: algorithm design, back testing, integration, deployment
• Validate models and price real-world trades to ensure correct valuations
• Maintain and enhance valuation engines across multiple applications
• Collaborate with cross-functional teams and support production deployment

Key requirements

• Min 1 year of quant development experience
• PhD or Masters from a top-tier school in Maths/Stats/Physics/Engineering
• Stochastic calculus knowledge
• Experience in C++ or Java development
• Cross-platform C++ library build experience (Unix, Solaris, Windows)
• Strong cross-asset exposure to derivatives (FX, rates, credit, equity)
• Partial differential equations and numerical analysis experience
• Proficiency in C++/C#/Java interfaces to core analytic libraries

• Strong analytical thinking
• Team collaboration
• Attention to detail
• C++ or Java development
• C# or Java programming for interfaces
• Stochastic calculus

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